Hi.
I estimated a model in 2 different samples (each one in a different mod file). In each mod file I estimated the same 2 parameters and for the others parameters I used a set of values for calibration (the calibration is the same in the mod files).
The estimated values (and distributions - I’m using MCMC) for the 2 parameters are different between the samples as I expected, but the IRFs are EXACTLY the same.
When I compare the structure of IRFs with isequaln(oo1_.irfs,oo2_.irfs), I received a TRUE.
I have a stoch_simul command after the estimation command in both mod files.
I’ve also checked that oo_.dr.ghx and oo_.dr.ghu are the same in the two samples. The smoothed variables and smoothed shocks are different as expected.
Is this thing common/possible? I should expect that the IRFs are really similar, but there is no difference at all. I wonder if I miss something about Dynare.
Actually, this happened with 6 different versions of the model (3 versions are estimating 3 parameters and 3 versions , 2 parameters).
When I tried to estimate only 1 parameter, then the IRF are different (they are similar, but different, that’s what I was expecting).
Would you please help me with some advice?
Thanks in advance.
Is the final M_.params different in the two results files? It may be that oo_.irfs was not properly updated because the stoch_simul-command did not work as expected.
Thanks for you answer, professor Pfeifer.
The values in M_.params are equal in two results files.
Actually, I’m little confused what’s stored in this vector. According to 4. The model file — Dynare 4.6.3 documentation, I understood that M_.params are the values of calibration. Despite this, in some other tests of mine, I’ve seen that the M_.params are updated if I use a estimated_params block with priors. In that case M_.params are updated to the modes of priors.
If I understood you correctly, the M_.params should be updated again after a estimation command. What should be in M_.params in that case? The optimization value or MH mean (or mode)?
And what can I do to make stoch_simul work as expected?
Here are the files if you want to see them.
Files.zip (18.4 KB)
Thank you again.
Update: The “problem” is in identification part. When dynare enters in the identification_analysis,
it updates the M_.params to the mode of the priors again, overwriting the posterior_mean. It occurs in the set_all_parameters part (line 114 of identification_analysis in dynare 4.6.3).
I said this is the “problem” (in quotes) because I do not know if it is a bug or it is a feature that I did not understand. Would you help me here?
In addition, when I suppress the command identification in mod file, the M_.params shows the posterior_mean and generate different IRFs between the two samples.
You are not supposed to check identification after estimation. What you report is expected behavior. As documented in the manual, the default parameter_set for identification is the prior_mean. You would need
identification(parameter_set=posterior_mean)
I see what you mean, professor Pfeifer.
That’s my fault.
Thank you so much.